Economics at your fingertips  

Filtering short term fluctuations in inflation analysis

H. Çağrı Akkoyun, Oguz Atuk (), Necmettin Alpay Koçak () and Utku Ozmen ()
Additional contact information
H. Çağrı Akkoyun: TCMB

Iktisat Isletme ve Finans, 2012, vol. 27, issue 319, 31-52

Abstract: Many economic time series, specifically inflation, are subject to seasonal fluctuations. Seasonal adjustment is a powerful tool for removing such fluctuations. Meanwhile, seasonal adjustment may provide highly volatile series, as it deals with certain type of movements completed on seasonal frequencies. However, short term fluctuations occurring at non-seasonal frequencies are also possible. In the context of inflation, we propose a two-step methodology combining wavelet and band-pass filters and aiming at removing all short term fluctuations within a year. This method yields much smoother series than seasonal adjustment provides. Moreover, filtered series capture the dynamics of inflation in subgroups well.

Keywords: Consumer prices; Inflation; Seasonal adjustment; Wavelet filters; Band pass filters (search for similar items in EconPapers)
JEL-codes: E31 (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Filtering Short Term Fluctuations in Inflation Analysis (2011) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from ... ew/iif.2012.319.3437

Access Statistics for this article

Iktisat Isletme ve Finans is currently edited by Ali Bilge

More articles in Iktisat Isletme ve Finans from Bilgesel Yayincilik
Bibliographic data for series maintained by Ali Bilge ().

Page updated 2021-06-13
Handle: RePEc:iif:iifjrn:v:27:y:2012:i:319:p:31-52